Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0047
Annualized Std Dev 0.2254
Annualized Sharpe (Rf=0%) -0.0210

Row

Daily Return Statistics

Close
Observations 3647.0000
NAs 1.0000
Minimum -0.1539
Quartile 1 -0.0046
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0056
Maximum 0.1204
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0142
Skewness -0.7618
Kurtosis 18.9917

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0104
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.7055
Historical VaR (95%) -0.0197
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0207
Modified ES (95%) -0.0306
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7055 3474 444 NA
2007-02-21 2007-03-05 2007-04-17 -0.0581 39 9 30
2006-12-15 2007-01-05 2007-02-01 -0.0308 31 13 18
2006-10-27 2006-11-02 2006-11-15 -0.0176 14 5 9
2007-05-24 2007-05-24 2007-05-30 -0.0156 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA -0.4 -1.5 0.1 -0.5 -2.2
2007 0.7 -0.4 -0.4 0 0.6 -0.1 -0.4 1.3 1.5 -2.4 0.3 -0.3 0.4
2008 1.7 -2.4 3.2 1.3 0 0 0.2 -0.3 0.8 2.6 -9.6 2.9 -0.5
2009 -2.8 -2 1.9 1.2 3.2 1.1 0.6 -1.8 -2.3 -2.1 1.1 -0.9 -3
2010 1.3 0.9 0.6 -0.8 -1.9 -0.1 0.2 2.1 0.3 -0.2 1.3 0.1 3.9
2011 1.4 -1 0.5 0.1 -1.4 1 0.1 -0.9 -1.4 -2.5 -0.1 -0.1 -4.3
2012 1.1 0.4 0.2 0.5 -2 1.9 -0.3 0.5 0.3 0.9 -0.1 1.3 4.7
2013 0.4 0 -0.6 -0.9 -1.5 0.5 0.3 -0.7 0.8 0 0.3 0.2 -1.2
2014 -0.6 0.2 0.5 0 0.1 0.2 -0.5 0.4 -0.8 0.5 -1.4 -0.5 -1.8
2015 -0.5 0.2 0 0.5 -0.1 0.3 0 -2.4 0.1 0.6 0.4 -0.1 -1
2016 0.1 1.6 -0.8 -0.4 0.3 0.8 -1 -0.6 0.5 -1.4 -0.2 0 -1
2017 0 0.7 0.3 -0.1 0.9 0.3 0.4 0.6 0.4 0.4 -0.3 0.1 3.6
2018 -0.1 -0.7 0.7 -0.3 0.5 -0.5 -0.7 -0.2 -0.2 1.4 0 0.8 0.8
2019 -0.1 0.1 1.4 -0.7 -1.1 0.4 -1.9 0.3 -1.3 1.2 -0.6 0.4 -2
2020 -1.7 -1.2 -6.1 -4.4 1.8 -1.4 -0.7 0.4 0.1 -0.1 1.2 0.6 -11.2
2021 1.2 2.3 -0.3 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-09-21  24.9 SPY    132. -0.00480 -0.0027    0.0134   0.0595   0.0906    0.286    0.336 GLD    58.0  1.21e-2   0.0133
2 2006-09-22  24.8 SPY    131. -0.003   -0.0037    0.0132   0.0565   0.0835    0.277    0.352 GLD    58.5  9.50e-3   0.0192
3 2006-09-25  24.9 SPY    132.  0.0077   0.0026    0.0218   0.0599   0.0909    0.310    0.316 GLD    58.5  0.        0.0046
4 2006-09-26  25.0 SPY    134.  0.0083   0.0134    0.029    0.078    0.0987    0.332    0.313 GLD    58.7  4.10e-3   0.032 
5 2006-09-27  25.2 SPY    134.  0.00120  0.00930   0.0254   0.0721   0.100     0.338    0.319 GLD    59.8  1.82e-2   0.0445
6 2006-09-28  25.2 SPY    134. -0.0004   0.0138    0.0238   0.0504   0.0988    0.325    0.307 GLD    59.8 -3.00e-4   0.0318
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart